| Close | |
|---|---|
| Annualized Return | 0.0191 |
| Annualized Std Dev | 0.2712 |
| Annualized Sharpe (Rf=0%) | 0.0703 |
| Close | |
|---|---|
| Observations | 4757.0000 |
| NAs | 1.0000 |
| Minimum | -0.1440 |
| Quartile 1 | -0.0060 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0071 |
| Maximum | 0.1394 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0171 |
| Skewness | -0.0321 |
| Kurtosis | 11.4405 |
| Close | |
|---|---|
| Semi Deviation | 0.0122 |
| Gain Deviation | 0.0129 |
| Loss Deviation | 0.0139 |
| Downside Deviation (MAR=210%) | 0.0166 |
| Downside Deviation (Rf=0%) | 0.0122 |
| Downside Deviation (0%) | 0.0122 |
| Maximum Drawdown | 0.7998 |
| Historical VaR (95%) | -0.0247 |
| Historical ES (95%) | -0.0422 |
| Modified VaR (95%) | -0.0241 |
| Modified ES (95%) | -0.0276 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | NA | -0.7998 | 3474 | 444 | NA |
| 2002-04-22 | 2002-10-09 | 2003-10-10 | -0.3308 | 319 | 90 | 229 |
| 2006-05-10 | 2006-06-13 | 2006-10-03 | -0.1348 | 102 | 24 | 78 |
| 2004-02-18 | 2004-05-17 | 2004-11-03 | -0.1175 | 180 | 63 | 117 |
| 2001-12-18 | 2002-02-22 | 2002-03-08 | -0.0960 | 30 | 25 | 5 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.1 | 1 | 1.1 |
| 2002 | -0.8 | 2.9 | 0.2 | 0.4 | 0.1 | 2.6 | -1 | -0.6 | 7 | 1.7 | -0.3 | 0 | 12.6 |
| 2003 | 0.6 | 2.8 | 2.6 | -0.5 | 1.2 | -0.4 | -1 | -0.4 | 1.6 | -0.2 | 1.1 | 0.7 | 8.3 |
| 2004 | 0.9 | 0.6 | 0.5 | 0.3 | -0.4 | -0.9 | 0.5 | 0 | 1.8 | 0.4 | 1.6 | 0 | 5.5 |
| 2005 | 1.1 | 0.4 | -1 | 1.4 | 0.6 | -0.3 | 0.3 | 1.2 | -0.1 | 0.2 | 1.1 | -0.4 | 4.6 |
| 2006 | 0.3 | 0.6 | -0.2 | -0.8 | 1.1 | 0.5 | -0.3 | 0.7 | 0 | -0.6 | -0.9 | 0.7 | 1 |
| 2007 | 0.7 | -0.8 | 0.1 | 0 | 0.3 | -0.2 | 0.3 | 2.4 | 1.9 | -3.7 | 1.6 | 0.2 | 2.7 |
| 2008 | 1.5 | -3.8 | 6 | 2.1 | 0.1 | 0.2 | -0.3 | -0.3 | 1.7 | 2.2 | -11.2 | 2.8 | 0 |
| 2009 | -2.2 | -4.3 | 2.6 | -0.2 | 1.8 | 0.6 | 1.6 | -3.8 | -4.3 | -3.8 | 1.5 | 0 | -10.4 |
| 2010 | 1.5 | 0 | 1.5 | -2.3 | -1.9 | 0.2 | -0.2 | 3.9 | 0.8 | -0.2 | 2.6 | 0.5 | 6.3 |
| 2011 | 2.1 | -2.2 | 0.9 | 0.3 | -3.3 | 1.9 | -0.3 | -1.6 | -3.8 | -4.7 | -1.1 | 0.1 | -11.3 |
| 2012 | 2 | 1.7 | 0.4 | 0.8 | -3.1 | 4 | -0.3 | 1.3 | 0.9 | 1.7 | -0.2 | 1.7 | 11.4 |
| 2013 | 0.7 | 0 | -0.9 | -0.5 | -1.9 | 0.8 | 1.9 | -0.6 | 0.9 | -0.3 | 0.1 | 0.2 | 0.4 |
| 2014 | -1.6 | 0.1 | 1.1 | 0.4 | 0 | 0.8 | -0.9 | 0.3 | -0.9 | 1.6 | -0.6 | -0.8 | -0.6 |
| 2015 | -1.6 | 0 | 0.4 | 0.6 | -0.2 | 0.9 | -0.1 | -3.5 | 0.5 | -0.7 | 1.6 | -0.4 | -2.7 |
| 2016 | -0.9 | 3.1 | 0.1 | -0.6 | -0.1 | 0 | -0.7 | 0.5 | 1 | -0.5 | 0.9 | 0.2 | 3.1 |
| 2017 | 0.3 | 2.2 | -0.5 | 0.5 | 0.7 | -0.1 | 0.9 | 0.2 | 0.5 | 0.1 | 0.1 | -0.1 | 5 |
| 2018 | 0.4 | -1.2 | 1.2 | -0.1 | 0.9 | 0.3 | -0.2 | -0.4 | 0.1 | 0.8 | 0 | 0.7 | 2.5 |
| 2019 | -0.1 | 0.3 | 2.2 | -0.6 | -1.2 | 0.8 | -1.7 | 0.5 | -1.7 | 1 | -0.6 | 0.2 | -0.9 |
| 2020 | -2 | -1.9 | -5.8 | -3 | 2 | -0.4 | -1 | -0.1 | 0.3 | 0.1 | 2.6 | 0.4 | -8.8 |
| 2021 | 1.2 | 2.4 | -0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.9 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2001-11-16 51.7 SPY 114. -0.0044 0.0145 0.0646 -0.0412 -0.163 NA NA <NA> NA NA NA
2 2001-11-23 52.4 SPY 116. 0.0144 0.0071 0.065 -0.0182 -0.158 NA NA <NA> NA NA NA
3 2001-11-27 52.4 SPY 115. -0.0043 -0.00290 0.0463 -0.0136 -0.143 NA NA <NA> NA NA NA
4 2001-12-05 52.6 SPY 117. 0.0183 0.0358 0.0607 0.036 -0.120 NA NA <NA> NA NA NA
5 2001-12-06 53 SPY 117. -0.0005 0.0215 0.044 0.0279 -0.113 NA NA <NA> NA NA NA
6 2001-12-18 51.5 SPY 115. 0.0059 0.0073 0.0054 0.128 -0.167 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>